Category: Market Action

Market Action

December 2, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.13 % 3.66 % 54,208 19.89 1 -4.3521 % 2,786.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0760 % 5,124.6
Floater 3.11 % 3.09 % 86,724 19.44 3 -1.0760 % 2,953.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2257 % 3,678.0
SplitShare 4.66 % 4.20 % 53,046 3.82 5 0.2257 % 4,392.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2257 % 3,427.1
Perpetual-Premium 5.14 % -0.32 % 43,511 0.09 28 -0.0715 % 3,252.7
Perpetual-Discount 4.73 % 4.86 % 66,445 15.65 6 0.1777 % 3,826.9
FixedReset Disc 3.94 % 4.06 % 125,954 17.14 37 -1.7897 % 2,800.3
Insurance Straight 5.01 % 4.51 % 93,762 14.73 20 -0.3322 % 3,624.7
FloatingReset 2.50 % 2.83 % 30,921 20.19 2 -1.0283 % 2,812.4
FixedReset Prem 4.70 % 3.84 % 114,047 2.47 33 -0.0597 % 2,720.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.7897 % 2,862.5
FixedReset Ins Non 4.11 % 3.89 % 97,033 17.11 19 -0.4681 % 2,930.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -47.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.46 %
TRP.PR.C FixedReset Disc -5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 4.81 %
BAM.PR.E Ratchet -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 3.66 %
BAM.PF.E FixedReset Disc -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.73 %
BAM.PR.B Floater -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.27 %
BAM.PR.T FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.71 %
CU.PR.C FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 4.30 %
MFC.PR.F FixedReset Ins Non -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 3.80 %
MFC.PR.M FixedReset Ins Non -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.69
Evaluated at bid price : 23.45
Bid-YTW : 4.00 %
MFC.PR.L FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.52
Evaluated at bid price : 23.04
Bid-YTW : 3.89 %
TRP.PR.F FloatingReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.83 %
BAM.PF.G FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.29
Evaluated at bid price : 22.85
Bid-YTW : 4.48 %
TRP.PR.B FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.67 %
MFC.PR.K FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.28
Evaluated at bid price : 23.65
Bid-YTW : 3.91 %
BMO.PR.S FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.06
Evaluated at bid price : 24.00
Bid-YTW : 3.88 %
BAM.PR.X FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.51 %
PWF.PR.T FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.50
Evaluated at bid price : 23.80
Bid-YTW : 4.06 %
MIC.PR.A Perpetual-Premium -1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 4.52 %
CM.PR.Q FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.99
Evaluated at bid price : 24.23
Bid-YTW : 4.09 %
PVS.PR.J SplitShare -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.38 %
TD.PF.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.02
Evaluated at bid price : 24.30
Bid-YTW : 4.09 %
GWO.PR.G Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -11.59 %
FTS.PR.K FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 21.43
Evaluated at bid price : 21.77
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 4.55 %
BIP.PR.F FixedReset Prem 1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.11 %
RS.PR.A SplitShare 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.75
Bid-YTW : 3.52 %
TRP.PR.D FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.60 %
IFC.PR.G FixedReset Ins Non 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.67
Evaluated at bid price : 24.91
Bid-YTW : 4.05 %
CM.PR.O FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.10
Evaluated at bid price : 24.16
Bid-YTW : 3.83 %
TRP.PR.A FixedReset Disc 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 4.59 %
IFC.PR.E Insurance Straight 10.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 24.01
Evaluated at bid price : 24.50
Bid-YTW : 5.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.C Insurance Straight 59,324 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 4.51 %
SLF.PR.I FixedReset Ins Non 23,925 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.69 %
RY.PR.H FixedReset Disc 23,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.13
Evaluated at bid price : 24.25
Bid-YTW : 3.74 %
CM.PR.Q FixedReset Disc 21,035 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.99
Evaluated at bid price : 24.23
Bid-YTW : 4.09 %
RY.PR.Z FixedReset Disc 20,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.15
Evaluated at bid price : 24.20
Bid-YTW : 3.71 %
NA.PR.E FixedReset Prem 17,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.73
Evaluated at bid price : 24.95
Bid-YTW : 4.00 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.17 – 23.50
Spot Rate : 11.3300
Average : 6.2074

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.46 %
TRP.PR.C FixedReset Disc Quote: 14.37 – 15.35
Spot Rate : 0.9800
Average : 0.6310

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 4.81 %
IFC.PR.I Perpetual-Premium Quote: 26.55 – 27.60
Spot Rate : 1.0500
Average : 0.7062

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.58 %
BAM.PR.E Ratchet Quote: 19.56 – 20.56
Spot Rate : 1.0000
Average : 0.6794

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 3.66 %
GWO.PR.N FixedReset Ins Non Quote: 16.62 – 17.49
Spot Rate : 0.8700
Average : 0.5609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 3.82 %
BAM.PR.B Floater Quote: 13.25 – 14.34
Spot Rate : 1.0900
Average : 0.7926

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.27 %
Market Action

December 1, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.44 % 55,052 20.15 1 0.0000 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1194 % 5,180.4
Floater 3.08 % 3.09 % 88,920 19.43 3 -0.1194 % 2,985.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0972 % 3,669.7
SplitShare 4.67 % 4.13 % 55,045 3.83 5 -0.0972 % 4,382.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0972 % 3,419.4
Perpetual-Premium 5.14 % -2.73 % 45,308 0.09 28 -0.1540 % 3,255.1
Perpetual-Discount 4.74 % 4.88 % 65,740 15.61 6 -0.5168 % 3,820.1
FixedReset Disc 3.87 % 3.96 % 126,466 17.07 37 -0.6410 % 2,851.3
Insurance Straight 4.99 % 4.52 % 92,153 13.88 20 1.2748 % 3,636.7
FloatingReset 2.48 % 2.77 % 31,180 20.34 2 0.0000 % 2,841.6
FixedReset Prem 4.69 % 3.76 % 118,466 2.48 33 0.0430 % 2,722.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6410 % 2,914.6
FixedReset Ins Non 4.09 % 3.82 % 97,259 17.12 19 -0.3464 % 2,944.2
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -7.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.79 %
CM.PR.O FixedReset Disc -4.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.67
Evaluated at bid price : 23.31
Bid-YTW : 4.01 %
PWF.PR.P FixedReset Disc -3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.17 %
IFC.PR.G FixedReset Ins Non -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.83
Evaluated at bid price : 24.20
Bid-YTW : 4.23 %
BAM.PF.H FixedReset Prem -2.91 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.13 %
TRP.PR.D FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 4.68 %
TRP.PR.C FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.57 %
TRP.PR.E FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 4.62 %
CU.PR.I FixedReset Prem -1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 3.85 %
FTS.PR.K FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.13 %
MFC.PR.K FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.70
Evaluated at bid price : 24.05
Bid-YTW : 3.84 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.17
Evaluated at bid price : 24.10
Bid-YTW : 3.96 %
TD.PF.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.12
Evaluated at bid price : 24.20
Bid-YTW : 3.77 %
GWO.PR.N FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 3.81 %
RY.PR.J FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.83 %
FTS.PR.M FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.44
Evaluated at bid price : 23.00
Bid-YTW : 4.23 %
CU.PR.F Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.68
Evaluated at bid price : 23.99
Bid-YTW : 4.70 %
RY.PR.M FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.92
Evaluated at bid price : 24.15
Bid-YTW : 3.91 %
BMO.PR.W FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.09
Evaluated at bid price : 24.25
Bid-YTW : 3.73 %
RY.PR.Z FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.23
Evaluated at bid price : 24.37
Bid-YTW : 3.68 %
BAM.PF.B FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.72
Evaluated at bid price : 23.31
Bid-YTW : 4.44 %
BAM.PF.A FixedReset Prem 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.55
Evaluated at bid price : 24.78
Bid-YTW : 4.43 %
BAM.PR.X FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.44 %
BIP.PR.F FixedReset Prem 5.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.90 %
BAM.PF.G FixedReset Disc 7.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.55
Evaluated at bid price : 23.30
Bid-YTW : 4.38 %
MFC.PR.C Insurance Straight 13.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.64 %
MFC.PR.B Insurance Straight 13.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.I FixedReset Ins Non 814,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 1.96 %
MFC.PR.G FixedReset Ins Non 84,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-18
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.06 %
TD.PF.A FixedReset Disc 65,212 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.12
Evaluated at bid price : 24.29
Bid-YTW : 3.72 %
GWO.PR.P Insurance Straight 50,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : -9.06 %
NA.PR.E FixedReset Prem 47,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.71
Evaluated at bid price : 24.91
Bid-YTW : 4.01 %
TRP.PR.D FixedReset Disc 33,716 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 4.68 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 22.25 – 26.28
Spot Rate : 4.0300
Average : 3.4086

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
CM.PR.O FixedReset Disc Quote: 23.31 – 24.31
Spot Rate : 1.0000
Average : 0.5685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.67
Evaluated at bid price : 23.31
Bid-YTW : 4.01 %
IFC.PR.G FixedReset Ins Non Quote: 24.20 – 25.20
Spot Rate : 1.0000
Average : 0.6412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.83
Evaluated at bid price : 24.20
Bid-YTW : 4.23 %
PWF.PR.P FixedReset Disc Quote: 17.00 – 17.75
Spot Rate : 0.7500
Average : 0.5194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.17 %
CU.PR.F Perpetual-Discount Quote: 23.99 – 24.80
Spot Rate : 0.8100
Average : 0.5861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.68
Evaluated at bid price : 23.99
Bid-YTW : 4.70 %
TRP.PR.A FixedReset Disc Quote: 17.60 – 18.60
Spot Rate : 1.0000
Average : 0.7890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.79 %
Market Action

November 30, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.44 % 55,314 20.15 1 0.0000 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8978 % 5,186.6
Floater 3.07 % 3.09 % 89,920 19.43 3 -1.8978 % 2,989.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1870 % 3,673.3
SplitShare 4.67 % 4.12 % 57,195 3.83 5 0.1870 % 4,386.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1870 % 3,422.7
Perpetual-Premium 5.13 % -7.25 % 45,570 0.08 28 -0.1719 % 3,260.1
Perpetual-Discount 4.72 % 4.88 % 66,565 15.63 6 0.0340 % 3,839.9
FixedReset Disc 3.85 % 3.88 % 125,678 17.00 37 -0.4746 % 2,869.7
Insurance Straight 5.06 % 4.54 % 92,230 13.88 20 -2.3491 % 3,591.0
FloatingReset 2.48 % 2.77 % 31,283 20.34 2 -1.1296 % 2,841.6
FixedReset Prem 4.69 % 3.79 % 121,625 2.49 33 -0.4565 % 2,721.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4746 % 2,933.4
FixedReset Ins Non 4.08 % 3.82 % 98,555 17.11 19 -0.8575 % 2,954.4
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -14.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
MFC.PR.C Insurance Straight -12.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.26 %
MFC.PR.B Insurance Straight -12.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.35 %
BIP.PR.F FixedReset Prem -7.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.31
Evaluated at bid price : 23.63
Bid-YTW : 5.38 %
BAM.PF.G FixedReset Disc -6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 4.72 %
BAM.PR.B Floater -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 3.12 %
IFC.PR.A FixedReset Ins Non -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.90 %
SLF.PR.J FloatingReset -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 2.15 %
BAM.PF.A FixedReset Prem -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 4.52 %
SLF.PR.G FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.81 %
TRP.PR.B FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 4.59 %
TRP.PR.E FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.52 %
RY.PR.Z FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.11
Evaluated at bid price : 24.10
Bid-YTW : 3.73 %
BAM.PR.C Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.09 %
TD.PF.D FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.88 %
BAM.PF.H FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.83
Bid-YTW : 3.31 %
TRP.PR.G FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 4.50 %
FTS.PR.H FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.04 %
PWF.PR.S Perpetual-Premium -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 24.35
Evaluated at bid price : 24.60
Bid-YTW : 4.92 %
BAM.PR.K Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 14.03
Evaluated at bid price : 14.03
Bid-YTW : 3.08 %
TD.PF.E FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 3.83 %
CM.PR.T FixedReset Prem 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.26 %
BAM.PR.T FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 56,460 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.99 %
MFC.PR.H FixedReset Ins Non 44,069 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.17 %
BMO.PR.B FixedReset Prem 40,919 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.27 %
IFC.PR.E Insurance Straight 34,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
BNS.PR.H FixedReset Prem 32,933 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 1.84 %
RY.PR.Z FixedReset Disc 25,487 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.11
Evaluated at bid price : 24.10
Bid-YTW : 3.73 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.B Insurance Straight Quote: 21.75 – 25.15
Spot Rate : 3.4000
Average : 1.8232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.35 %
MFC.PR.C Insurance Straight Quote: 21.46 – 24.54
Spot Rate : 3.0800
Average : 1.6599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.26 %
IFC.PR.E Insurance Straight Quote: 22.25 – 26.20
Spot Rate : 3.9500
Average : 2.7273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
BIP.PR.F FixedReset Prem Quote: 23.63 – 25.50
Spot Rate : 1.8700
Average : 1.0576

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.31
Evaluated at bid price : 23.63
Bid-YTW : 5.38 %
BAM.PF.G FixedReset Disc Quote: 21.76 – 23.60
Spot Rate : 1.8400
Average : 1.1293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 4.72 %
TRP.PR.B FixedReset Disc Quote: 13.73 – 15.00
Spot Rate : 1.2700
Average : 0.7983

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 4.59 %
Market Action

November 29, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.44 % 51,124 20.16 1 0.0000 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2094 % 5,286.9
Floater 3.01 % 3.04 % 87,061 19.56 3 1.2094 % 3,046.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5539 % 3,666.4
SplitShare 4.67 % 4.18 % 57,708 3.83 5 -0.5539 % 4,378.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5539 % 3,416.3
Perpetual-Premium 5.12 % -7.41 % 46,143 0.09 28 -0.0447 % 3,265.7
Perpetual-Discount 4.72 % 4.86 % 67,648 15.67 6 0.0204 % 3,838.6
FixedReset Disc 3.83 % 3.82 % 125,761 17.03 37 -0.1392 % 2,883.4
Insurance Straight 4.94 % 4.50 % 91,430 3.43 20 0.7216 % 3,677.3
FloatingReset 2.45 % 2.77 % 30,124 20.34 2 -1.7753 % 2,874.1
FixedReset Prem 4.67 % 3.37 % 121,470 2.27 33 -0.1887 % 2,733.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1392 % 2,947.4
FixedReset Ins Non 4.05 % 3.83 % 99,473 17.00 19 0.2137 % 2,980.0
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 2.77 %
BAM.PR.T FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.67 %
TRP.PR.A FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.49 %
PVS.PR.J SplitShare -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.19 %
TRP.PR.D FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.53 %
BAM.PF.G FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 22.50
Evaluated at bid price : 23.21
Bid-YTW : 4.40 %
CU.PR.I FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.33 %
BAM.PF.F FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 22.87
Evaluated at bid price : 23.74
Bid-YTW : 4.49 %
BAM.PR.K Floater 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 3.05 %
MFC.PR.F FixedReset Ins Non 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.73 %
IFC.PR.E Insurance Straight 16.94 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.02
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 51,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 23.19
Evaluated at bid price : 24.40
Bid-YTW : 3.68 %
RY.PR.H FixedReset Disc 39,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 23.24
Evaluated at bid price : 24.50
Bid-YTW : 3.68 %
BNS.PR.I FixedReset Prem 27,675 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 23.73
Evaluated at bid price : 25.54
Bid-YTW : 3.79 %
PWF.PF.A Perpetual-Discount 26,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 24.31
Evaluated at bid price : 24.71
Bid-YTW : 4.59 %
RY.PR.J FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 3.48 %
BMO.PR.F FixedReset Prem 23,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 2.87 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 18.78 – 20.33
Spot Rate : 1.5500
Average : 1.0373

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.49 %
TRP.PR.D FixedReset Disc Quote: 21.30 – 22.55
Spot Rate : 1.2500
Average : 0.7627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.53 %
BAM.PR.T FixedReset Disc Quote: 20.31 – 21.50
Spot Rate : 1.1900
Average : 0.7628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.67 %
CU.PR.C FixedReset Disc Quote: 22.85 – 24.43
Spot Rate : 1.5800
Average : 1.2222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 4.15 %
RS.PR.A SplitShare Quote: 10.42 – 11.25
Spot Rate : 0.8300
Average : 0.5488

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.42
Bid-YTW : 4.38 %
CU.PR.I FixedReset Prem Quote: 26.10 – 26.68
Spot Rate : 0.5800
Average : 0.3797

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.33 %
Market Action

November 26, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.45 % 51,116 20.10 1 -0.7282 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.5872 % 5,223.7
Floater 3.05 % 3.05 % 88,214 19.53 3 -2.5872 % 3,010.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1006 % 3,686.9
SplitShare 4.65 % 4.06 % 57,800 3.84 5 -0.1006 % 4,402.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1006 % 3,435.3
Perpetual-Premium 5.12 % -8.80 % 45,122 0.09 28 -0.1074 % 3,267.2
Perpetual-Discount 4.72 % 4.87 % 70,154 15.67 6 -0.3458 % 3,837.8
FixedReset Disc 3.83 % 3.87 % 129,050 16.82 37 -0.9672 % 2,887.4
Insurance Straight 4.97 % 4.49 % 91,279 3.44 20 -0.8792 % 3,651.0
FloatingReset 2.43 % 2.74 % 29,394 20.36 2 -1.1787 % 2,926.0
FixedReset Prem 4.66 % 3.55 % 122,352 2.28 33 -0.2533 % 2,738.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.9672 % 2,951.5
FixedReset Ins Non 4.05 % 3.94 % 103,263 16.81 19 -0.6903 % 2,973.6
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -15.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.93 %
BAM.PR.K Floater -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 3.13 %
MFC.PR.F FixedReset Ins Non -4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 3.95 %
TRP.PR.B FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.69 %
BAM.PF.F FixedReset Disc -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.66
Evaluated at bid price : 23.34
Bid-YTW : 4.67 %
TRP.PR.G FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.64
Evaluated at bid price : 23.55
Bid-YTW : 4.46 %
BAM.PR.X FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.62 %
TRP.PR.A FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.54 %
CU.PR.C FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 4.26 %
PWF.PR.P FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.14 %
TRP.PR.C FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 4.55 %
BAM.PR.T FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.68 %
GWO.PR.N FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.84 %
BAM.PR.Z FixedReset Prem -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.88
Evaluated at bid price : 24.35
Bid-YTW : 4.67 %
BAM.PR.R FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.58 %
SLF.PR.J FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.13 %
BAM.PR.C Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 3.05 %
BAM.PR.M Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.88 %
BAM.PR.B Floater -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 3.05 %
IFC.PR.A FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 3.91 %
BAM.PF.B FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.66
Evaluated at bid price : 23.22
Bid-YTW : 4.55 %
PWF.PR.T FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.27
Evaluated at bid price : 24.32
Bid-YTW : 4.01 %
BAM.PF.E FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 4.62 %
SLF.PR.H FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 3.88 %
BAM.PF.H FixedReset Prem -1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.30
Bid-YTW : 2.83 %
FTS.PR.G FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.77
Evaluated at bid price : 22.26
Bid-YTW : 4.17 %
BAM.PR.N Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.90 %
BAM.PF.G FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.65
Evaluated at bid price : 23.50
Bid-YTW : 4.42 %
CIU.PR.A Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PF.A Perpetual-Discount 46,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.37
Evaluated at bid price : 24.77
Bid-YTW : 4.57 %
MFC.PR.G FixedReset Ins Non 36,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-18
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.79 %
MFC.PR.H FixedReset Ins Non 31,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.04 %
TD.PF.A FixedReset Disc 29,948 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.17
Evaluated at bid price : 24.41
Bid-YTW : 3.79 %
BNS.PR.I FixedReset Prem 25,214 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.71
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
BMO.PR.W FixedReset Disc 24,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.14
Evaluated at bid price : 24.38
Bid-YTW : 3.79 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 22.25 – 26.98
Spot Rate : 4.7300
Average : 2.7644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.93 %
MFC.PR.F FixedReset Ins Non Quote: 17.98 – 18.98
Spot Rate : 1.0000
Average : 0.6100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 3.95 %
PVS.PR.G SplitShare Quote: 25.75 – 27.00
Spot Rate : 1.2500
Average : 0.9152

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.11 %
BAM.PR.M Perpetual-Discount Quote: 24.65 – 25.50
Spot Rate : 0.8500
Average : 0.5568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.88 %
BAM.PF.F FixedReset Disc Quote: 23.34 – 24.00
Spot Rate : 0.6600
Average : 0.3853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.66
Evaluated at bid price : 23.34
Bid-YTW : 4.67 %
BAM.PR.K Floater Quote: 13.81 – 14.43
Spot Rate : 0.6200
Average : 0.3803

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 3.13 %
Market Action

November 25, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 48,924 20.14 1 -0.0485 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2075 % 5,362.5
Floater 2.97 % 3.00 % 86,476 19.67 3 -0.2075 % 3,090.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,690.6
SplitShare 4.64 % 4.05 % 58,325 3.84 5 0.0000 % 4,407.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,438.8
Perpetual-Premium 5.11 % -8.96 % 45,033 0.09 28 0.0810 % 3,270.7
Perpetual-Discount 4.70 % 4.81 % 72,763 15.77 6 0.0814 % 3,851.1
FixedReset Disc 3.79 % 3.94 % 125,669 17.01 37 0.0511 % 2,915.6
Insurance Straight 4.93 % 4.16 % 90,945 3.25 20 0.0593 % 3,683.4
FloatingReset 2.41 % 2.71 % 29,347 20.42 2 1.0246 % 2,960.9
FixedReset Prem 4.65 % 3.29 % 120,908 2.28 33 -0.0769 % 2,745.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0511 % 2,980.4
FixedReset Ins Non 4.03 % 3.86 % 100,083 16.81 19 -0.1071 % 2,994.3
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.55 %
TRP.PR.D FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
CU.PR.I FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.16 %
BAM.PF.B FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 22.85
Evaluated at bid price : 23.54
Bid-YTW : 4.48 %
CU.PR.G Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 4.69 %
BAM.PR.M Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.80
Evaluated at bid price : 25.02
Bid-YTW : 4.81 %
TRP.PR.F FloatingReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 2.71 %
BAM.PR.X FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.49 %
TRP.PR.G FixedReset Disc 5.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Prem 26,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.95 %
BAM.PR.N Perpetual-Discount 26,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.84 %
PWF.PF.A Perpetual-Discount 26,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.35
Evaluated at bid price : 24.75
Bid-YTW : 4.58 %
RY.PR.Z FixedReset Disc 25,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.28
Evaluated at bid price : 24.50
Bid-YTW : 3.74 %
NA.PR.E FixedReset Prem 15,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.82
Evaluated at bid price : 25.20
Bid-YTW : 4.04 %
TD.PF.A FixedReset Disc 12,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.22
Evaluated at bid price : 24.55
Bid-YTW : 3.76 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 23.40 – 24.97
Spot Rate : 1.5700
Average : 1.0381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.15 %
SLF.PR.D Insurance Straight Quote: 24.65 – 25.88
Spot Rate : 1.2300
Average : 0.7217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.49 %
PVS.PR.G SplitShare Quote: 25.80 – 26.69
Spot Rate : 0.8900
Average : 0.5482

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.06 %
TRP.PR.E FixedReset Disc Quote: 21.43 – 22.30
Spot Rate : 0.8700
Average : 0.5659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.55 %
TRP.PR.C FixedReset Disc Quote: 16.00 – 17.00
Spot Rate : 1.0000
Average : 0.7323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.45 %
CU.PR.G Perpetual-Discount Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.8257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 4.69 %
Market Action

November 24, 2021

PerpetualDiscounts now yield 4.84%, equivalent to 6.29% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.51%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has rocketted to 280bp from the 245bp reported November 17.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 49,115 20.15 1 0.0000 % 2,936.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2300 % 5,373.6
Floater 2.97 % 2.98 % 87,532 19.72 3 -0.2300 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1356 % 3,690.6
SplitShare 4.64 % 4.05 % 57,998 3.85 5 0.1356 % 4,407.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1356 % 3,438.8
Perpetual-Premium 5.12 % -8.19 % 44,942 0.09 28 -0.1074 % 3,268.0
Perpetual-Discount 4.71 % 4.84 % 67,673 15.70 6 -0.0136 % 3,848.0
FixedReset Disc 3.79 % 3.96 % 124,689 17.01 37 1.1423 % 2,914.1
Insurance Straight 4.93 % 4.16 % 89,592 3.25 20 0.0376 % 3,681.2
FloatingReset 2.43 % 2.77 % 29,422 20.28 2 -1.0685 % 2,930.9
FixedReset Prem 4.65 % 3.09 % 121,852 2.28 33 -0.0059 % 2,748.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.1423 % 2,978.8
FixedReset Ins Non 4.02 % 3.90 % 101,411 16.81 19 0.0469 % 2,997.5
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.62 %
TRP.PR.F FloatingReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.77 %
MIC.PR.A Perpetual-Premium -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.04
Bid-YTW : 4.37 %
TRP.PR.B FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 4.47 %
BAM.PF.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.01
Evaluated at bid price : 23.85
Bid-YTW : 4.41 %
TRP.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 4.42 %
BAM.PR.R FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.50 %
TRP.PR.G FixedReset Disc 74.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.H FixedReset Ins Non 168,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.73 %
FTS.PR.K FixedReset Disc 37,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 4.12 %
BAM.PF.F FixedReset Disc 33,370 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.03
Evaluated at bid price : 24.07
Bid-YTW : 4.50 %
TD.PF.D FixedReset Disc 29,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.45 %
PWF.PF.A Perpetual-Discount 29,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 24.31
Evaluated at bid price : 24.70
Bid-YTW : 4.59 %
CM.PR.P FixedReset Disc 25,012 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.24
Evaluated at bid price : 24.69
Bid-YTW : 3.77 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 24.30 – 25.00
Spot Rate : 0.7000
Average : 0.4597

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 24.04
Evaluated at bid price : 24.30
Bid-YTW : 4.64 %
CU.PR.E Perpetual-Premium Quote: 25.12 – 25.70
Spot Rate : 0.5800
Average : 0.3579

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-24
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : -2.07 %
TRP.PR.F FloatingReset Quote: 18.31 – 18.90
Spot Rate : 0.5900
Average : 0.4025

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.77 %
MIC.PR.A Perpetual-Premium Quote: 27.04 – 27.58
Spot Rate : 0.5400
Average : 0.3717

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.04
Bid-YTW : 4.37 %
CU.PR.C FixedReset Disc Quote: 23.40 – 24.00
Spot Rate : 0.6000
Average : 0.4549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.15 %
BAM.PR.M Perpetual-Discount Quote: 24.65 – 25.25
Spot Rate : 0.6000
Average : 0.4603

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.87 %
Market Action

November 23, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 45,658 20.15 1 -0.0969 % 2,936.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2536 % 5,386.0
Floater 2.96 % 2.98 % 88,672 19.72 3 0.2536 % 3,104.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3656 % 3,685.6
SplitShare 4.65 % 4.05 % 58,943 3.85 5 0.3656 % 4,401.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3656 % 3,434.1
Perpetual-Premium 5.14 % -8.35 % 44,872 0.09 29 -0.0350 % 3,271.5
Perpetual-Discount 4.71 % 4.85 % 69,397 15.70 6 -0.9342 % 3,848.5
FixedReset Disc 3.83 % 3.87 % 125,930 17.00 37 -1.3850 % 2,881.2
Insurance Straight 4.93 % 3.97 % 89,563 0.59 20 -0.1639 % 3,679.8
FloatingReset 2.40 % 2.71 % 29,233 20.42 2 0.3299 % 2,962.5
FixedReset Prem 4.65 % 3.08 % 122,045 2.28 33 -0.0815 % 2,748.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.3850 % 2,945.2
FixedReset Ins Non 4.02 % 3.89 % 93,903 16.87 19 -0.1917 % 2,996.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -45.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 %
BAM.PR.M Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.87 %
BAM.PR.R FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.60 %
FTS.PR.J Perpetual-Premium -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.42
Evaluated at bid price : 24.70
Bid-YTW : 4.81 %
SLF.PR.H FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.08
Evaluated at bid price : 22.65
Bid-YTW : 3.85 %
TRP.PR.B FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.53 %
FTS.PR.G FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.15
Evaluated at bid price : 22.47
Bid-YTW : 4.14 %
IFC.PR.A FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 3.89 %
BAM.PF.B FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.84
Evaluated at bid price : 23.54
Bid-YTW : 4.48 %
IFC.PR.F Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.80
Bid-YTW : 4.88 %
CU.PR.G Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.00
Evaluated at bid price : 24.29
Bid-YTW : 4.63 %
CU.PR.I FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.80 %
SLF.PR.C Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.49 %
SLF.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.75 %
GWO.PR.N FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 %
TRP.PR.D FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 21.67
Evaluated at bid price : 22.12
Bid-YTW : 4.43 %
PVS.PR.J SplitShare 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.96 %
BAM.PR.X FixedReset Disc 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.49 %
SLF.PR.J FloatingReset 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 2.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset Prem 273,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 2.27 %
SLF.PR.D Insurance Straight 191,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.49 %
MFC.PR.R FixedReset Ins Non 99,616 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.53 %
RY.PR.Z FixedReset Disc 82,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 23.30
Evaluated at bid price : 24.55
Bid-YTW : 3.73 %
PWF.PF.A Perpetual-Discount 61,430 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.30
Evaluated at bid price : 24.69
Bid-YTW : 4.59 %
FTS.PR.M FixedReset Disc 61,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 4.27 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 13.17 – 24.42
Spot Rate : 11.2500
Average : 5.9125

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 %
SLF.PR.H FixedReset Ins Non Quote: 22.65 – 24.00
Spot Rate : 1.3500
Average : 0.9315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.08
Evaluated at bid price : 22.65
Bid-YTW : 3.85 %
BAM.PR.R FixedReset Disc Quote: 20.30 – 21.15
Spot Rate : 0.8500
Average : 0.5639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.60 %
TRP.PR.C FixedReset Disc Quote: 15.90 – 17.00
Spot Rate : 1.1000
Average : 0.8761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.48 %
BAM.PR.B Floater Quote: 14.60 – 15.30
Spot Rate : 0.7000
Average : 0.4923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 %
TRP.PR.A FixedReset Disc Quote: 19.80 – 20.53
Spot Rate : 0.7300
Average : 0.5281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.43 %
Market Action

November 22, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.40 % 45,515 20.16 1 0.1456 % 2,938.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0231 % 5,372.4
Floater 2.97 % 2.99 % 88,786 19.70 3 -0.0231 % 3,096.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2289 % 3,672.2
SplitShare 4.67 % 4.19 % 57,250 3.85 5 -0.2289 % 4,385.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2289 % 3,421.6
Perpetual-Premium 5.14 % -7.96 % 46,027 0.09 29 -0.0942 % 3,272.7
Perpetual-Discount 4.66 % 4.58 % 68,863 15.77 6 -0.0470 % 3,884.8
FixedReset Disc 3.78 % 3.96 % 121,954 17.06 37 -0.2189 % 2,921.7
Insurance Straight 4.93 % 4.15 % 90,216 3.26 20 0.0000 % 3,685.9
FloatingReset 2.41 % 2.69 % 28,780 20.49 2 0.4695 % 2,952.8
FixedReset Prem 4.64 % 3.16 % 121,870 2.28 33 -0.0165 % 2,750.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2189 % 2,986.6
FixedReset Ins Non 4.02 % 3.84 % 88,476 16.82 19 -0.0423 % 3,001.8
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
BAM.PR.X FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 %
SLF.PR.J FloatingReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.15 %
PWF.PR.T FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.36
Evaluated at bid price : 24.53
Bid-YTW : 3.96 %
RS.PR.A SplitShare -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 %
BAM.PR.R FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 %
BAM.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.56 %
GWO.PR.Y Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 24.59
Evaluated at bid price : 24.98
Bid-YTW : 4.54 %
TRP.PR.F FloatingReset 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 2.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 189,099 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.20
Evaluated at bid price : 24.50
Bid-YTW : 3.76 %
TD.PF.B FixedReset Disc 67,493 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.26
Evaluated at bid price : 24.55
Bid-YTW : 3.79 %
BMO.PR.B FixedReset Prem 58,634 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.30 %
TD.PF.C FixedReset Disc 42,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.22
Evaluated at bid price : 24.65
Bid-YTW : 3.77 %
NA.PR.W FixedReset Disc 42,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.24
Evaluated at bid price : 24.71
Bid-YTW : 3.75 %
RY.PR.S FixedReset Prem 26,927 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.85 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 21.75 – 22.55
Spot Rate : 0.8000
Average : 0.5561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
PVS.PR.I SplitShare Quote: 25.75 – 26.40
Spot Rate : 0.6500
Average : 0.4299

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.89 %
BAM.PR.X FixedReset Disc Quote: 18.20 – 18.90
Spot Rate : 0.7000
Average : 0.5225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 %
RS.PR.A SplitShare Quote: 10.48 – 11.27
Spot Rate : 0.7900
Average : 0.6323

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 %
BAM.PR.R FixedReset Disc Quote: 20.76 – 21.15
Spot Rate : 0.3900
Average : 0.2503

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 %
IFC.PR.E Insurance Straight Quote: 26.30 – 26.90
Spot Rate : 0.6000
Average : 0.4710

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.30
Bid-YTW : 4.15 %
Market Action

November 19, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 47,278 20.16 1 -0.0970 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0691 % 5,373.6
Floater 2.97 % 2.98 % 87,437 19.73 3 -0.0691 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2014 % 3,680.6
SplitShare 4.66 % 4.24 % 57,996 3.81 5 -0.2014 % 4,395.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2014 % 3,429.5
Perpetual-Premium 5.13 % -9.89 % 46,704 0.09 29 -0.0646 % 3,275.8
Perpetual-Discount 4.66 % 4.58 % 68,444 15.83 6 0.0269 % 3,886.7
FixedReset Disc 3.77 % 3.82 % 120,444 17.20 37 -0.1312 % 2,928.1
Insurance Straight 4.93 % 4.37 % 88,472 3.27 20 -0.2108 % 3,685.9
FloatingReset 2.46 % 2.81 % 27,271 20.18 2 -0.9573 % 2,939.0
FixedReset Prem 4.64 % 3.04 % 123,757 2.29 33 -0.0826 % 2,750.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1312 % 2,993.1
FixedReset Ins Non 4.01 % 3.76 % 89,266 16.94 19 -0.0868 % 3,003.1
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 3.74 %
TRP.PR.F FloatingReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 %
BAM.PR.X FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
TD.PF.I FixedReset Prem -1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
CU.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 %
BIP.PR.A FixedReset Prem -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.01
Evaluated at bid price : 24.26
Bid-YTW : 4.97 %
GWO.PR.Y Insurance Straight -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 24.28
Evaluated at bid price : 24.66
Bid-YTW : 4.60 %
FTS.PR.K FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.04 %
GWO.PR.S Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 145,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %
CM.PR.O FixedReset Disc 122,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.31
Evaluated at bid price : 24.66
Bid-YTW : 3.77 %
CM.PR.R FixedReset Prem 111,665 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.42 %
BAM.PR.C Floater 107,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 %
BAM.PR.B Floater 80,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 2.97 %
TD.PF.M FixedReset Prem 38,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 2.44 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 23.07 – 23.75
Spot Rate : 0.6800
Average : 0.4976

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.32
Evaluated at bid price : 23.07
Bid-YTW : 3.76 %
CU.PR.C FixedReset Disc Quote: 23.16 – 23.70
Spot Rate : 0.5400
Average : 0.3581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 %
TD.PF.I FixedReset Prem Quote: 25.12 – 25.57
Spot Rate : 0.4500
Average : 0.2730

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
TRP.PR.F FloatingReset Quote: 18.31 – 18.80
Spot Rate : 0.4900
Average : 0.3220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 %
TRP.PR.A FixedReset Disc Quote: 19.91 – 20.53
Spot Rate : 0.6200
Average : 0.4786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.35 %
RS.PR.A SplitShare Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.4595

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 %